Currency & Forex Data: Exchange Rates, Central Bank Data & FX Analysis

Understanding Currency Data

Currency data is essential for:

• International trade analysis
• Investment returns translation
• Monetary policy comparison
• Purchasing power analysis
• Macro hedging

Types of Exchange Rates

Nominal Exchange Rate

The market price of one currency in terms of another.

Quotation conventions:

• EURUSD: Euros per 1 dollar (actually USD per EUR)
• USDJPY: Yen per 1 dollar

Spot vs Forward:

• Spot: Immediate exchange (T+2)
• Forward: Future exchange (T+30, 60, 90...)

Real Exchange Rate

Adjusted for relative price levels between countries.

Formula:

Real Rate = Nominal Rate × (Domestic Prices / Foreign Prices)

Why it matters:

• Competitiveness measure
• Trade balance implications
• Long-term fair value

Effective Exchange Rates

Nominal Effective (NEER):

Trade-weighted average against major partners.

Real Effective (REER):

Trade-weighted, adjusted for relative prices.

FRED Series:

• TWEXBGSMTH (Broad Trade-Weighted USD)
• RTWEXBGS (Real Broad)

IQ Score: 95

Key Currency Data Sources

Central Bank Data

Federal Reserve (H.10 Release)

Daily and weekly exchange rates.

• FRED Series: DEXUSEU (EUR/USD), DEXJPUS (USD/JPY)
• IQ Score: 98

ECB Exchange Rates

Reference rates for 30+ currencies.

• Daily, 4 PM CET
• IQ Score: 97

Bank of England

GBP rates and effective exchange rate indices.

Bank of Japan

Yen rates and intervention data.

BIS Data

Bank for International Settlements provides:

• Effective exchange rates (NEER, REER)
• Standardized methodology
• Excellent for cross-country comparison
• IQ Score: 96

IMF Data

International Financial Statistics (IFS):

• Exchange rate arrangements
• SDR rates
• Global coverage
• IQ Score: 95

Major Currency Pairs

G10 Currencies

EM Currencies

Purchasing Power Parity (PPP)

What Is PPP?

Exchange rate that equalizes price levels.

Big Mac Index

Economist's famous simple PPP measure.

• Shows currency over/undervaluation
• Not precise but intuitive
• Updated semi-annually

OECD PPP Data

IQ Score: 93

Comprehensive PPP exchange rates for:

• GDP comparison
• Living standard comparison
• Benchmark for fair value

How to Use PPP

• Long-term fair value anchor
• Currencies revert toward PPP over 3-10 years
• Short-term trading = don't rely on PPP

FX Market Data

Volatility Measures

Implied Volatility:

Option-derived expected volatility.

• 1-month, 3-month common
• Risk reversals (skew)
• Butterfly (kurtosis)

VXY Index (JPMorgan):

G10 currency volatility index.

CVIX (Deutsche Bank):

EM currency volatility.

Positioning Data

CFTC Commitments of Traders:

Speculative positioning in FX futures.

• FRED example: USNCFX (EUR speculative)
• Released Fridays
• IQ Score: 92

Shows:

• Net long/short positions
• Position extremes (contrarian signals)

Trading Volume

BIS Triennial Survey:

• $7.5 trillion daily FX turnover
• Currency breakdown
• Geographic breakdown

Interest Rate Differentials

Covered Interest Parity

Forward rate = Spot × (1 + domestic rate) / (1 + foreign rate)

Should hold by arbitrage. Violations indicate:

• Credit risk
• Funding stress
• Market dysfunction

Carry Trade

Strategy: Borrow low-yield currency, invest in high-yield.

Key pairs historically:

• Short JPY, long AUD/NZD
• Short EUR, long EM

Risk: Unwinding can be violent (risk-off)

Real Interest Rate Differentials

Better predictor of medium-term FX:

• Real rates = Nominal - Expected inflation
• Higher real rates attract capital

Building an FX Dashboard

Daily Monitoring

• DXY (Dollar Index): Overall dollar strength

• EURUSD, USDJPY: Key pairs

• Broad TWI: Fed's preferred measure

• EM currency index: Risk appetite

Weekly Analysis

• CFTC positioning
• Central bank rhetoric
• Yield curve differentials
• Risk reversals (volatility skew)

Monthly Review

• Real effective rates
• Terms of trade
• Current account flows
• PPP deviations

FX Regime Considerations

Fixed vs Floating

Fixed/Pegged:

• Hong Kong (USD peg)
• Saudi Arabia (USD peg)
• Denmark (EUR peg)

Managed Float:

• China (RMB)
• Singapore (NEER basket)

Free Float:

• Most G10
• Market-determined

Central Bank Intervention

Watch for:

• FX reserves changes
• Verbal intervention
• SNB history (2011-2015 floor)
• Bank of Japan (occasionally)

Pro Tips

• Watch rate differentials: The fundamental driver

• Risk sentiment matters: JPY, CHF strengthen on risk-off

• Positioning extremes: Contrarian signals from CFTC

• Central banks move markets: Verbal intervention works

• PPP for long-term: Not for trading, but fair value anchor

• Carry works until it doesn't: Great until risk-off

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